PrefBlog

The big news of the day was the diving of the loonie:

The currency fell as much as 0.6 percent to 69.90 U.S. cents Tuesday in Toronto,, the first time it touched that level since May 2003, as crude oil fell to a 12-year low of $29.93 per barrel in New York. The first time the Canadian dollar weakened below 70 U.S. cents was 1997, before the country’s oil industry took off and when its government was wrestling with a budget deficit.

It mostly traded below 70 U.S. cents between 1997 and 2003, a period when manufacturing made up a larger part of exports than oil. It’s all-time low was 61.76 U.S. cents in 2002.
…
Even though [Macquarie Group forecaster David] Doyle predicted Canada’s central bank will cut its benchmark rate to a record low 0.25 percent on Jan. 20, a weakened manufacturing sector and more competition from Mexico in the U.S. market, Canada’s largest trading partner, mean it will take longer for the country to see an economic benefit with oil prices still depressed.

Once the loonie, as the currency is called for the aquatic bird on the C$1 coin, reaches its record low, it will stay depressed through the end of 2018, Doyle said.

“Manufacturing and non-energy exports have far less ability to propel the economic outlook than they have in the past,” Doyle said. “Many of our oil and oil-related sectors have grown, and a lot of our manufacturing sectors have not grown and remained low.”

Meanwhile, it appears that insurance and SIFI regulation is having some of its intended effect:

MetLife joins General Electric Co.’s finance unit in seeking to simplify operations after being designated by a U.S. panel as a non-bank systemically important financial institution, a tag that can lead to stricter limits on the balance sheet. [MetLife CEO Steve] Kandarian has sought to reverse that designation in court.

The retail business, as part of a SIFI, faces “higher capital requirements that could put it at a significant competitive disadvantage,” Kandarian said in the statement. “Even though we are appealing our SIFI designation in court and do not believe any part of MetLife is systemic, this risk of increased capital requirements contributed to our decision to pursue the separation.”
…
The retail unit slated for separation is a provider of variable annuities, where results can be tied to fluctuations in stock markets and interest rates. The new company would also include life insurance entities. MetLife didn’t outline a timetable for the plan, saying the completion of a transaction could depend on market conditions, and also regulatory approvals.
…
MetLife is among four non-bank companies that were named SIFIs by the Financial Stability Oversight Council. That panel was created by the 2010 Dodd-Frank law and charged with monitoring potential threats to the financial system after the near collapse in 2008 of companies including insurer American International Group Inc., which required a U.S. bailout.

GE has been divesting finance operations and has said it will apply to drop its tag as a SIFI. Prudential Financial Inc., the second-largest U.S. life insurer, in 2013 opted against filing a lawsuit to overturn its SIFI status.

AIG, also a SIFI, has been facing pressure from activist investor Carl Icahn to break up into three separate businesses — one offering property-casualty coverage, another selling life insurance and a third backing mortgages. Icahn has said the risk tag is intended to be a tax on size and AIG’s businesses would be worth more to shareholders if they’re not part of a systemically important company.

So, up to a point, I approve of this. Huge financial empires can lead to trouble. My problem with the implementation, however, is that too much is left to opinion and there is too sharp a break between SIFI and non-SIFI status. I would prefer to see a surcharge on risk-weighted assets so that companies can find their optimal size, without the inevitable games-playing that is intrinsic to the current solution; for more discussion, see my post Capital Surcharges for Globally Important Investment Banks.

Assiduous Reader JP brings to my attention new rules on lease reporting:

The International Accounting Standards Board (IASB) published a new rule on Wednesday requiring leases of more than a year to be placed on balance sheets from January 2019.

“It’s a major change and will affect around half of all companies, especially airlines, shipping and retail. They will have significantly different financial statements,” IASB Chairman Hans Hoogervorst told Reuters.

Some defunct retailers have surprised investors by disclosing that off-balance sheet leases were almost 66 times the value of on-balance sheet debt, the IASB said.
…
Hoogervorst’s predecessor, David Tweedie, kicked off the reform two decades ago and annoyed leasing companies by saying he wanted to fly the Atlantic in a plane that was on the airline’s balance sheet.

“It will change balance sheets massively,” Tweedie told Reuters. “You can’t be paying rent for an aeroplane you have to stick in the Arizona desert and pretend it’s not a liability.”

I have often thought that the main value of ‘green’ legislation is that it forces a certain amount of thinking about why we do things the way we do. Humans are intrinsically lazy, and will seek to apply cookie-cutter solutions that have worked out reasonably well in the past instead of redesigning everything from scratch. Most of the time, that’s the proper thing to do, of course; but every now and then a fresh look makes the light-bulb spring to life:

The clinical white beam of LEDs and frustrating time-delay of ‘green’ lighting has left many hankering after the instant, bright warm glow of traditional filament bulbs.

But now scientists in the US believe they have come up with a solution which could see a reprieve for incandescent bulbs.

Researchers at MIT have shown that by surrounding the filament with a special crystal structure in the glass they can bounce back the energy which is usually lost in heat, while still allowing the light through.

They refer to the technique as ‘recycling light’ because the energy which would usually escape into the air is redirected back to the filament where it can create new light.
…
Usually traditional light bulbs are only about five per cent efficient, with 95 per cent of the energy being lost to the atmosphere. In comparison LED or florescent bulbs manage around 14 per cent efficiency. But the scientists believe that the new bulb could reach efficiency levels of 40 per cent.

And it shows colours far more naturally than modern energy-efficient bulbs. Traditional incandescent bulbs have a ‘colour rendering index’ rating of 100, because they match the hue of objects seen in natural daylight. However even ‘warm’ finish LED or florescent bulbs can only manage an index rating of 80 and most are far less.

“This experimental device is a proof-of-concept, at the low end of performance that could be ultimately achieved by this approach,” said principal research scientist Ivan Celanovic.

Meanwhile, Lockhart points out that the financial system does not perfectly reflect the real economy:

Federal Reserve Bank of Atlanta President Dennis Lockhart said he favors continued tightening of monetary policy this year, and a global selloff in stock markets is unlikely to affect the U.S. economy.

“When such volatility develops, I think it’s helpful to look at the real economy of the United States as opposed to the financial economy and ask if something is fundamentally wrong,” Lockhart said in a speech Monday in Atlanta. “Are there serious imbalances that make the broad economy vulnerable to foreign shocks? I don’t see that kind of connection in current circumstances. ”

Lockhart told reporters after his speech the persistence of turmoil such as what occurred starting in August might change that view.

“If the volatility continues for several weeks, I may have to revise my view that I don’t now see a connection between financial markets abroad and the real economy,” Lockhart said. “It is a matter of how long it lasts.”

Failed politicians and backscratchers are getting very excited about the creation of a brand new regulated business:

Liberal MP Bill Blair wants to make it clear the growth and sale of legal marijuana in Canada will not be a free-for-all.

In an interview, the chief architect of the country’s new marijuana regime frequently used such words as “control” and “strict regulation” as he discussed the federal government’s options.
…
“There is a need for some control,” he said. “Our intent is to legalize, regulate and restrict. There needs to be reasonable restrictions on making sure that we keep it away from kids, because I think that is very much in the public interest. We also have to ensure that the social and the health harms are properly managed and mitigated, and that can be done through regulation.”

Illegal pot dispensaries are appearing in greater numbers across the country. In addition, some advocates of legalization say that the Trudeau government’s promise to make pot legal means police should immediately stop charging people for possessing marijuana.

On the other hand, some people in the marijuana industry say only licensed and regulated operators should be able to grow and sell the drug. In particular, a number of investors in the medical marijuana business, which was heavily regulated by the Conservative government, want similar rules and restrictions for recreational pot.

Yes, it is only through restriction of competition that hopelessly incompetent ex-politicians like George ‘e-Health’ Smitherman will be able to make a living:

A former high-ranking colleague and friend of MP Bill Blair, the Liberal government’s point man on marijuana legalization, will lobby the ex-Toronto police chief in hopes of ensuring a tightly controlled system in which only licensed firms are allowed to grow the lucrative drug.

Kim Derry, a deputy chief of the Toronto Police Service under Mr. Blair, is a promoter of marijuana facility THC Meds Ontario Inc., along with George Smitherman, a former Ontario Liberal deputy premier. Mr. Blair, put in charge of the marijuana file last week, will play a key role in determining who gets to grow the product once it is legalized.

While some growers want loosely regulated production across the country, the operators of companies such as THC Meds say production licences should be limited to professional operations.

In an interview, Mr. Derry said the government should aim to “get rid of the goons” who are currently in the marijuana business, calling for tight regulations on who can grow and sell the product.

There is a reasonably good book excerpt about annuities in the Globe:

One of the signs will be when the gap between the yields on long-term government bonds and inflation is relatively high–that is to say, when the real yield on long-term bonds is high.

You might wonder what long-term bonds have to do with annuities. The interest rate that determines the cost of annuities is never advertised by the insurer but it happens to be closely tied to the yield on long-term government bonds, which is readily available. The gap between long-term bond yields and inflation is currently rather small, even though inflation is low which means that now might not be the best time to buy an annuity. Note that the nominal yield on bonds is not important, just the real yield. Hence, you are better off buying an annuity when long-term bond yields are 4 per cent and inflation is 2 per cent than when long-term bond yields and inflation are both 5 per cent.

It’s nice to see some rational discussion of annuity pricing in the popular press, but I must say I find great fault with the author’s arguments on market timing. Dammit, it can’t be done! And it is unbelievably reckless to indulge in timing when making a significant, irreversible decision to annuitize, even if it’s with only a portion of the nest egg.

As I have discussed in PrefLetter (and in one free article, for you cheapskates) annuities are lousy investments, but they are great insurance. Any retiree who is encroaching on his capital to fund his living expenses should very carefully consider buying an annuity of sufficient size that he becomes cash-flow neutral, i.e., that all normal living expenses are covered by the annuity payments and the income from the remaining investment portfolio. That way, you’ve got the encroachment on capital done all at once and have considerably less worry about what happens when there’s no more capital to be encroached upon.

At time of writing there is some hope that markets might not go down tomorrow:

Asian stocks rallied from a three-year low, tracking a rebound in the U.S. amid speculation a selloff that erased more than $5 trillion from global equity values this year had gone too far. Oil rose for the first time this year and the offshore yuan strengthened for a fifth day.

The MSCI Asia-Pacific Index climbed the most in four weeks as benchmark share indexes rallied across the region. U.S. index futures gained after the Standard & Poor’s 500 Index advanced for a second day. Treasuries took back some of the last session’s gains, which were spurred by crude’s decline to below $30 for the first time in 12 years. The more positive sentiment diminished the appeal of haven currencies, with the yen retreating as Australia’s dollar appreciated.

On the other hand the Royal Bank of Scotland issued some cheery advice:

Investors face a “cataclysmic year” where stock markets could fall by up to 20% and oil could slump to $16 a barrel, economists at the Royal Bank of Scotland have warned.

In a note to its clients the bank said: “Sell everything except high quality bonds. This is about return of capital, not return on capital. In a crowded hall, exit doors are small.” It said the current situation was reminiscent of 2008, when the collapse of the Lehman Brothers investment bank led to the global financial crisis. This time China could be the crisis point.
…
RBS is not the only negative voice at the moment. Analysts at JP Morgan have advised clients to sell stocks on any bounce.

Morgan Stanley has said oil could fall to $20 a barrel, while Standard Chartered has predicted an even bigger slide, to as low as $10. Standard said: “Given that no fundamental relationship is currently driving the oil market towards any equilibrium, prices are being moved almost entirely by financial flows caused by fluctuations in other asset prices, including the US dollar and equity markets.

“We think prices could fall as low as $10 a barrel before most of the money managers in the market conceded that matters had gone too far.”

But in the meantime, Canadian preferred share investors are looking at their account balances:

It was an incredibly horrible day for the Canadian preferred share market, with PerpetualDiscounts down 92bp, FixedResets losing 243bp and DeemedRetractibles off 58bp. The Performance Highlights table is immense, of course, with not a single winner. Volume was extremely high.

All I can think of by way of explanation is that with the dollar down so much due to oil and speculation of a Bank of Canada policy cut in the future, people are getting ever more gloomy about the prospect of five year Canadas ever yielding more than one percent – yields dropped precipitously today to 0.57%, which is below the all-time low (based on BoC weekly data) of 0.62%, reached 2015-2-4. One wonders how many people lost their houses in the tightening of the early eighties and are now getting crushed by loosening in their retirement accounts.

For as long as the FixedReset market is so violently unsettled, I’ll keep publishing updates of the more interesting and meaningful series of FixedResets’ Implied Volatilities. This doesn’t include Enbridge because although Enbridge has a large number of issues outstanding, all of which are quite liquid, the range of Issue Reset Spreads is too small for decent conclusions. The low is 212bp (ENB.PR.H; second-lowest is ENB.PR.D at 237bp) and the high is a mere 268 for ENB.PF.G.

Remember that all rich /cheap assessments are:
» based on Implied Volatility Theory only
» are relative only to other FixedResets from the same issuer
» assume constant GOC-5 yield
» assume constant Implied Volatility
» assume constant spread

Here’s TRP:

TRP.PR.E, which resets 2019-10-30 at +235, is bid at 16.30 to be $0.79 rich, while TRP.PR.C, resetting 2016-1-30 at +154, is $0.99 cheap at its bid price of 10.30.

Most expensive is MFC.PR.L, resetting at +216bp on 2019-6-19, bid at 17.50 to be 0.55 rich, while MFC.PR.G, resetting at +290bp on 2016-12-19, is bid at 18.25 to be 1.49 cheap.

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 13.90 to be $1.17 cheap. BAM.PF.F, resetting at +286bp on 2019-9-30 is bid at 18.81 and appears to be $0.80 rich.

FTS.PR.K, with a spread of +205bp, and bid at 17.37, looks $0.68 expensive and resets 2019-3-1. FTS.PR.G, with a spread of +213bp and resetting 2018-9-1, is bid at 16.64 and is $0.46 cheap.

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -0.62%, with no outliers; note that the vertical axis has been shifted upwards today. There is one junk outlier below -1.50% and one above 0.50%.

Shall we just say that this exhibits a high level of confidence in the continued rapacity of Canadian banks?

HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly
Index	Mean Current Yield (at bid)	Median YTW	Median Average Trading Value	Median Mod Dur (YTW)	Issues	Day’s Perf.	Index Value
Ratchet	4.90 %	5.95 %	26,900	16.71	1	-4.2215 %	1,586.9
FixedFloater	7.36 %	6.54 %	32,338	15.52	1	-3.0075 %	2,650.0
Floater	4.52 %	4.69 %	79,057	16.08	4	-3.1467 %	1,692.5
OpRet	0.00 %	0.00 %	0	0.00	0	-0.5113 %	2,722.1
SplitShare	4.85 %	6.02 %	68,527	2.77	6	-0.5113 %	3,185.3
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.5113 %	2,485.3
Perpetual-Premium	5.92 %	5.74 %	86,220	2.71	6	-0.2887 %	2,494.4
Perpetual-Discount	5.82 %	5.91 %	94,766	14.06	34	-0.9198 %	2,480.4
FixedReset	5.58 %	5.02 %	239,105	14.81	81	-2.4289 %	1,850.7
Deemed-Retractible	5.35 %	5.25 %	121,610	5.27	34	-0.5837 %	2,516.2
FloatingReset	2.93 %	4.91 %	65,755	5.60	13	-1.4163 %	2,015.4

Performance Highlights
Issue	Index	Change	Notes
PWF.PR.P	FixedReset	-7.65 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 11.83 Evaluated at bid price : 11.83 Bid-YTW : 4.78 %
TRP.PR.E	FixedReset	-6.91 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 16.30 Evaluated at bid price : 16.30 Bid-YTW : 5.02 %
TRP.PR.A	FixedReset	-6.73 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 13.58 Evaluated at bid price : 13.58 Bid-YTW : 5.06 %
TRP.PR.B	FixedReset	-6.57 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 9.96 Evaluated at bid price : 9.96 Bid-YTW : 5.02 %
CCS.PR.C	Deemed-Retractible	-5.60 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.72 Bid-YTW : 7.74 %
HSE.PR.A	FixedReset	-5.46 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 10.22 Evaluated at bid price : 10.22 Bid-YTW : 5.88 %
HSE.PR.G	FixedReset	-5.44 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 17.02 Evaluated at bid price : 17.02 Bid-YTW : 6.36 %
TRP.PR.G	FixedReset	-5.25 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 18.03 Evaluated at bid price : 18.03 Bid-YTW : 5.15 %
MFC.PR.G	FixedReset	-5.19 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.25 Bid-YTW : 7.97 %
TRP.PR.D	FixedReset	-5.11 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 15.80 Evaluated at bid price : 15.80 Bid-YTW : 5.09 %
BAM.PR.Z	FixedReset	-5.08 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 17.75 Evaluated at bid price : 17.75 Bid-YTW : 5.32 %
TRP.PR.C	FixedReset	-5.07 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 10.30 Evaluated at bid price : 10.30 Bid-YTW : 5.35 %
BAM.PR.X	FixedReset	-4.90 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 13.00 Evaluated at bid price : 13.00 Bid-YTW : 5.08 %
BAM.PR.R	FixedReset	-4.79 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 13.90 Evaluated at bid price : 13.90 Bid-YTW : 5.43 %
BAM.PR.T	FixedReset	-4.70 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 14.40 Evaluated at bid price : 14.40 Bid-YTW : 5.36 %
PWF.PR.A	Floater	-4.47 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 11.75 Evaluated at bid price : 11.75 Bid-YTW : 4.07 %
BMO.PR.T	FixedReset	-4.34 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 16.75 Evaluated at bid price : 16.75 Bid-YTW : 4.68 %
RY.PR.M	FixedReset	-4.25 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 18.01 Evaluated at bid price : 18.01 Bid-YTW : 4.73 %
BAM.PR.E	Ratchet	-4.22 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 25.00 Evaluated at bid price : 13.84 Bid-YTW : 5.95 %
CM.PR.P	FixedReset	-4.17 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 16.56 Evaluated at bid price : 16.56 Bid-YTW : 4.67 %
TRP.PR.F	FloatingReset	-4.02 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 12.19 Evaluated at bid price : 12.19 Bid-YTW : 4.86 %
SLF.PR.J	FloatingReset	-3.92 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 12.25 Bid-YTW : 10.85 %
IFC.PR.C	FixedReset	-3.91 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.20 Bid-YTW : 8.43 %
CM.PR.O	FixedReset	-3.89 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 17.30 Evaluated at bid price : 17.30 Bid-YTW : 4.57 %
FTS.PR.I	FloatingReset	-3.87 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 11.92 Evaluated at bid price : 11.92 Bid-YTW : 3.98 %
HSE.PR.E	FixedReset	-3.87 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 17.40 Evaluated at bid price : 17.40 Bid-YTW : 6.23 %
BNS.PR.D	FloatingReset	-3.63 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.54 Bid-YTW : 7.63 %
MFC.PR.L	FixedReset	-3.58 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.50 Bid-YTW : 8.11 %
RY.PR.J	FixedReset	-3.54 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 18.27 Evaluated at bid price : 18.27 Bid-YTW : 4.78 %
IAG.PR.G	FixedReset	-3.33 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.85 Bid-YTW : 7.49 %
BAM.PR.B	Floater	-3.33 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 10.15 Evaluated at bid price : 10.15 Bid-YTW : 4.69 %
SLF.PR.H	FixedReset	-3.32 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.13 Bid-YTW : 9.58 %
VNR.PR.A	FixedReset	-3.25 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 17.56 Evaluated at bid price : 17.56 Bid-YTW : 5.08 %
RY.PR.Z	FixedReset	-3.18 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 17.35 Evaluated at bid price : 17.35 Bid-YTW : 4.48 %
BAM.PF.B	FixedReset	-3.14 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 16.95 Evaluated at bid price : 16.95 Bid-YTW : 5.13 %
TD.PR.Y	FixedReset	-3.11 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.77 Bid-YTW : 4.62 %
NA.PR.S	FixedReset	-3.09 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 17.25 Evaluated at bid price : 17.25 Bid-YTW : 4.69 %
BAM.PR.G	FixedFloater	-3.01 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 25.00 Evaluated at bid price : 12.90 Bid-YTW : 6.54 %
ENB.PR.A	Perpetual-Discount	-2.97 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 21.97 Evaluated at bid price : 22.20 Bid-YTW : 6.28 %
RY.PR.H	FixedReset	-2.86 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 17.34 Evaluated at bid price : 17.34 Bid-YTW : 4.54 %
PWF.PR.T	FixedReset	-2.84 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 20.50 Evaluated at bid price : 20.50 Bid-YTW : 3.91 %
SLF.PR.I	FixedReset	-2.82 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.60 Bid-YTW : 8.24 %
BMO.PR.W	FixedReset	-2.74 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 17.05 Evaluated at bid price : 17.05 Bid-YTW : 4.56 %
BAM.PF.G	FixedReset	-2.70 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 18.35 Evaluated at bid price : 18.35 Bid-YTW : 5.14 %
TD.PF.A	FixedReset	-2.70 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 17.30 Evaluated at bid price : 17.30 Bid-YTW : 4.48 %
GWO.PR.L	Deemed-Retractible	-2.67 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.10 Bid-YTW : 6.25 %
CIU.PR.C	FixedReset	-2.58 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 11.35 Evaluated at bid price : 11.35 Bid-YTW : 4.55 %
TD.PF.E	FixedReset	-2.51 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 19.45 Evaluated at bid price : 19.45 Bid-YTW : 4.59 %
GWO.PR.O	FloatingReset	-2.45 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 11.95 Bid-YTW : 11.01 %
BAM.PR.C	Floater	-2.43 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 10.05 Evaluated at bid price : 10.05 Bid-YTW : 4.74 %
BMO.PR.Q	FixedReset	-2.36 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.65 Bid-YTW : 7.42 %
BNS.PR.Q	FixedReset	-2.34 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.50 Bid-YTW : 4.88 %
BNS.PR.R	FixedReset	-2.34 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.97 Bid-YTW : 4.76 %
MFC.PR.I	FixedReset	-2.29 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.20 Bid-YTW : 7.33 %
TD.PF.B	FixedReset	-2.21 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 17.26 Evaluated at bid price : 17.26 Bid-YTW : 4.48 %
BAM.PR.N	Perpetual-Discount	-2.17 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 19.42 Evaluated at bid price : 19.42 Bid-YTW : 6.18 %
BIP.PR.B	FixedReset	-2.11 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 22.37 Evaluated at bid price : 23.16 Bid-YTW : 5.98 %
BAM.PR.K	Floater	-2.08 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 9.91 Evaluated at bid price : 9.91 Bid-YTW : 4.80 %
CU.PR.G	Perpetual-Discount	-2.07 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 19.35 Evaluated at bid price : 19.35 Bid-YTW : 5.90 %
BAM.PF.E	FixedReset	-2.07 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 17.00 Evaluated at bid price : 17.00 Bid-YTW : 5.17 %
BAM.PF.A	FixedReset	-1.94 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 18.24 Evaluated at bid price : 18.24 Bid-YTW : 5.11 %
MFC.PR.K	FixedReset	-1.87 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.30 Bid-YTW : 8.14 %
TD.PF.D	FixedReset	-1.86 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 18.50 Evaluated at bid price : 18.50 Bid-YTW : 4.71 %
BMO.PR.S	FixedReset	-1.83 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 17.72 Evaluated at bid price : 17.72 Bid-YTW : 4.53 %
NA.PR.W	FixedReset	-1.81 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 16.82 Evaluated at bid price : 16.82 Bid-YTW : 4.63 %
HSE.PR.C	FixedReset	-1.73 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 16.50 Evaluated at bid price : 16.50 Bid-YTW : 6.05 %
BAM.PR.M	Perpetual-Discount	-1.73 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 19.36 Evaluated at bid price : 19.36 Bid-YTW : 6.20 %
CU.PR.H	Perpetual-Discount	-1.71 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 22.64 Evaluated at bid price : 23.00 Bid-YTW : 5.77 %
RY.PR.L	FixedReset	-1.65 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.50 Bid-YTW : 4.33 %
RY.PR.K	FloatingReset	-1.61 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.40 Bid-YTW : 5.17 %
BIP.PR.A	FixedReset	-1.60 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 18.50 Evaluated at bid price : 18.50 Bid-YTW : 5.85 %
BNS.PR.Z	FixedReset	-1.59 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.55 Bid-YTW : 7.41 %
MFC.PR.J	FixedReset	-1.58 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.70 Bid-YTW : 7.41 %
POW.PR.B	Perpetual-Discount	-1.57 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 22.22 Evaluated at bid price : 22.50 Bid-YTW : 5.97 %
GWO.PR.M	Deemed-Retractible	-1.54 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.91 Bid-YTW : 5.92 %
MFC.PR.M	FixedReset	-1.51 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.22 Bid-YTW : 7.75 %
BMO.PR.Y	FixedReset	-1.50 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 19.01 Evaluated at bid price : 19.01 Bid-YTW : 4.63 %
GWO.PR.I	Deemed-Retractible	-1.50 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.70 Bid-YTW : 7.89 %
PVS.PR.E	SplitShare	-1.49 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-10-31 Maturity Price : 25.00 Evaluated at bid price : 23.85 Bid-YTW : 6.49 %
GWO.PR.G	Deemed-Retractible	-1.47 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.12 Bid-YTW : 7.01 %
MFC.PR.F	FixedReset	-1.45 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.55 Bid-YTW : 10.03 %
W.PR.H	Perpetual-Discount	-1.43 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 22.56 Evaluated at bid price : 22.82 Bid-YTW : 6.05 %
FTS.PR.K	FixedReset	-1.42 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 17.37 Evaluated at bid price : 17.37 Bid-YTW : 4.25 %
CU.PR.D	Perpetual-Discount	-1.41 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 21.03 Evaluated at bid price : 21.03 Bid-YTW : 5.92 %
FTS.PR.F	Perpetual-Discount	-1.40 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 21.53 Evaluated at bid price : 21.79 Bid-YTW : 5.69 %
FTS.PR.M	FixedReset	-1.39 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 18.50 Evaluated at bid price : 18.50 Bid-YTW : 4.56 %
ELF.PR.G	Perpetual-Discount	-1.38 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 20.71 Evaluated at bid price : 20.71 Bid-YTW : 5.77 %
BAM.PF.D	Perpetual-Discount	-1.38 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 20.05 Evaluated at bid price : 20.05 Bid-YTW : 6.17 %
W.PR.K	FixedReset	-1.37 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 22.64 Evaluated at bid price : 23.70 Bid-YTW : 5.55 %
BNS.PR.P	FixedReset	-1.36 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.26 Bid-YTW : 4.26 %
GWO.PR.S	Deemed-Retractible	-1.36 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.26 Bid-YTW : 6.34 %
POW.PR.D	Perpetual-Discount	-1.34 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 21.30 Evaluated at bid price : 21.30 Bid-YTW : 5.91 %
POW.PR.C	Perpetual-Premium	-1.30 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 24.05 Evaluated at bid price : 24.30 Bid-YTW : 6.00 %
PWF.PR.K	Perpetual-Discount	-1.28 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 20.90 Evaluated at bid price : 20.90 Bid-YTW : 5.94 %
TD.PF.C	FixedReset	-1.27 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 17.05 Evaluated at bid price : 17.05 Bid-YTW : 4.53 %
GWO.PR.N	FixedReset	-1.24 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 12.75 Bid-YTW : 10.73 %
BAM.PF.H	FixedReset	-1.24 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 23.09 Evaluated at bid price : 24.78 Bid-YTW : 4.99 %
NA.PR.Q	FixedReset	-1.21 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.71 Bid-YTW : 4.24 %
TD.PR.Z	FloatingReset	-1.17 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.15 Bid-YTW : 5.01 %
POW.PR.G	Perpetual-Discount	-1.13 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 23.29 Evaluated at bid price : 23.73 Bid-YTW : 5.92 %
GWO.PR.Q	Deemed-Retractible	-1.11 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.18 Bid-YTW : 6.91 %
BAM.PF.F	FixedReset	-1.10 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 18.81 Evaluated at bid price : 18.81 Bid-YTW : 4.98 %
GWO.PR.H	Deemed-Retractible	-1.10 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.77 Bid-YTW : 7.53 %
W.PR.J	Perpetual-Discount	-1.07 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 22.77 Evaluated at bid price : 23.05 Bid-YTW : 6.10 %
IFC.PR.A	FixedReset	-1.01 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.65 Bid-YTW : 9.97 %
CM.PR.Q	FixedReset	-1.01 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 18.56 Evaluated at bid price : 18.56 Bid-YTW : 4.70 %
PWF.PR.O	Perpetual-Premium	-1.01 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 24.01 Evaluated at bid price : 24.50 Bid-YTW : 5.92 %

Volume Highlights
Issue	Index	Shares Traded	Notes
TD.PR.T	FloatingReset	300,555	Scotia crossed 300,000 at 21.60. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.55 Bid-YTW : 4.58 %
RY.PR.I	FixedReset	232,300	Nesbitt crossed 76,800 at 23.30; RBC crossed 149,900 at the same price. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.20 Bid-YTW : 4.56 %
RY.PR.Q	FixedReset	219,115	Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 23.30 Evaluated at bid price : 25.50 Bid-YTW : 5.10 %
IFC.PR.A	FixedReset	131,050	Desjardins crossed 107,000 at 14.85; Nesbitt crossed 15,700 at the same price. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.65 Bid-YTW : 9.97 %
BNS.PR.L	Deemed-Retractible	108,575	RBC crossed 71,200 at 24.54. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.41 Bid-YTW : 4.94 %
BAM.PF.H	FixedReset	98,870	Desjardins crossed 71,600 at 25.00. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 23.09 Evaluated at bid price : 24.78 Bid-YTW : 4.99 %
There were 57 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
IFC.PR.C	FixedReset	Quote: 17.20 – 18.99 Spot Rate : 1.7900 Average : 1.0550 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.20 Bid-YTW : 8.43 %
HSE.PR.C	FixedReset	Quote: 16.50 – 18.31 Spot Rate : 1.8100 Average : 1.1658 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 16.50 Evaluated at bid price : 16.50 Bid-YTW : 6.05 %
PWF.PR.A	Floater	Quote: 11.75 – 13.25 Spot Rate : 1.5000 Average : 0.8901 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 11.75 Evaluated at bid price : 11.75 Bid-YTW : 4.07 %
CCS.PR.C	Deemed-Retractible	Quote: 20.72 – 22.00 Spot Rate : 1.2800 Average : 0.9257 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.72 Bid-YTW : 7.74 %
PWF.PR.P	FixedReset	Quote: 11.83 – 12.81 Spot Rate : 0.9800 Average : 0.6258 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-12 Maturity Price : 11.83 Evaluated at bid price : 11.83 Bid-YTW : 4.78 %
BNS.PR.A	FloatingReset	Quote: 22.00 – 22.99 Spot Rate : 0.9900 Average : 0.6437 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.00 Bid-YTW : 4.68 %

While preparing PrefLetter I came across this interesting chart, from a presentation by BoC Deputy Governor Lynn Patterson:

Speaking of the BoC, the Business Outlook Survey is spreading gloom:

The quarterly survey of business executives, published by the central bank Monday, showed that the prolonged oil slump is taking a deepening toll on the mood of the country’s corporate leaders. It also shows that, increasingly, the negative impact and mounting pessimism are infecting parts of the economy beyond the resource sector.

What’s more, the details press on many of the hot buttons for the bank’s decision on interest rates, the next of which comes only days from now (Jan. 20). Spending intentions for new capacity and hiring are at their lowest since the Great Recession; businesses still have ample excess capacity; already-tepid inflation expectations are declining.
…
Neither the bond market nor the majority of economists expect a cut next week, but the Business Outlook Survey has made a cut look like a serious possibility at some point in the next few months. At least one prominent central-bank watcher – Merrill Lynch economist Emanuella Enenajor – is convinced that the survey seals the deal on a quarter-point rate cut next week.

It’s not getting any better! Oil and copper got crushed today:

Oil plunged to its lowest point since 2003 on Monday, as West Texas intermediate (WTI), the North American benchmark, declined to $31.12 (U.S.) a barrel. It has lost 15 per cent of its value in the first few days of 2016.

Copper, meanwhile, tumbled to a six-year low of $1.97 a pound. The metal, used for a wide variety of industrial and construction applications, is down more than 9 per cent in January.

… which is putting the banks under pressure:

Consider the urgency: The price of oil – exploring 12-year lows – is fast-approaching worst-case hypothetical scenarios used in bank stress tests in 2015, raising concerns about whether loan losses will spike as energy companies fail to meet their debt obligations. Big Six loans to the oil and gas sector total nearly $113-billion.
…
The lower prices are nearing, or passing through, some significant thresholds. Canadian Imperial Bank of Commerce used $30 oil in its stress tests a year ago; Bank of Montreal stress-tested its loan portfolio at $35 a barrel in 2015, and assumed that oil would recover to $50 a barrel this year.

Financial 15 Split Corp., proud issuer of FTN.PR.A, has been confirmed at Pfd-4(high) by DBRS:

DBRS Limited (DBRS) has today confirmed the rating of the Preferred Shares (the Preferred Shares) issued by Financial 15 Split Corp. (the Company) at Pfd-4 (high).
…
During 2015, the NAV of the Company has experienced some fluctuation due to volatility in the markets. Downside protection available to holders of the Preferred Shares is 40.7% as of December 15, 2015. The dividend coverage ratio has risen to 0.6 times over the past year. Regular monthly Class A Share distributions will result in an average grind of approximately 3.5% over the next five years.

Happy preferred share investors held a parade in honour of the market today!

It was yet another grim day for the Canadian preferred share market today, with PerpetualDiscounts off 68bp, FixedResets losing a stunning 199bp and DeemedRetractibles down 84bp. The Performance Highlights table is, of course, ridiculous. Volume was well above average.

For as long as the FixedReset market is so violently unsettled, I’ll keep publishing updates of the more interesting and meaningful series of FixedResets’ Implied Volatilities. This doesn’t include Enbridge because although Enbridge has a large number of issues outstanding, all of which are quite liquid, the range of Issue Reset Spreads is too small for decent conclusions. The low is 212bp (ENB.PR.H; second-lowest is ENB.PR.D at 237bp) and the high is a mere 268 for ENB.PF.G.

Remember that all rich /cheap assessments are:
» based on Implied Volatility Theory only
» are relative only to other FixedResets from the same issuer
» assume constant GOC-5 yield
» assume constant Implied Volatility
» assume constant spread

Here’s TRP:

TRP.PR.E, which resets 2019-10-30 at +235, is bid at 17.51 to be $1.03 rich, while TRP.PR.C, resetting 2016-1-30 at +154, is $1.23 cheap at its bid price of 10.85.

Most expensive is MFC.PR.L, resetting at +216bp on 2019-6-19, bid at 18.15 to be 0.82 rich, while MFC.PR.G, resetting at +290bp on 2016-12-19, is bid at 19.25 to be 0.77 cheap.

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 14.60 to be $0.99 cheap. BAM.PR.X, resetting at +180bp on 2017-6-30 is bid at 13.67 and appears to be $0.74 rich.

FTS.PR.K, with a spread of +205bp, and bid at 17.62, looks $0.84 expensive and resets 2019-3-1. FTS.PR.G, with a spread of +213bp and resetting 2018-9-1, is bid at 16.51 and is $0.70 cheap.

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -0.78%, with one outlier above 0.00%. There is one junk outlier below -2.00% and four above 0.00%.

Shall we just say that this exhibits a high level of confidence in the continued rapacity of Canadian banks?

HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly
Index	Mean Current Yield (at bid)	Median YTW	Median Average Trading Value	Median Mod Dur (YTW)	Issues	Day’s Perf.	Index Value
Ratchet	4.70 %	5.69 %	27,014	17.02	1	1.4035 %	1,656.8
FixedFloater	7.14 %	6.34 %	32,242	15.77	1	2.4653 %	2,732.1
Floater	4.37 %	4.53 %	79,818	16.38	4	-1.9065 %	1,747.5
OpRet	0.00 %	0.00 %	0	0.00	0	0.0137 %	2,736.1
SplitShare	4.83 %	5.79 %	70,997	1.80	6	0.0137 %	3,201.7
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.0137 %	2,498.1
Perpetual-Premium	5.90 %	5.81 %	85,367	2.72	6	-0.5476 %	2,501.6
Perpetual-Discount	5.76 %	5.85 %	94,429	14.14	34	-0.6755 %	2,503.4
FixedReset	5.44 %	4.82 %	237,193	15.07	81	-1.9911 %	1,896.8
Deemed-Retractible	5.32 %	5.20 %	122,011	5.27	34	-0.8429 %	2,531.0
FloatingReset	2.89 %	4.79 %	62,006	5.60	13	-0.6169 %	2,044.3

Performance Highlights
Issue	Index	Change	Notes
TRP.PR.A	FixedReset	-7.26 %	Not real. The issue traded 5,880 shares today in a range of 15.18-84 before closing at 14.56-24, 1×1. The last trade of the day was at 2:17pm, at 15.18. I have not checked whether this lamentable state of affairs is due to inadequate Toronto Stock Exchange reporting or inadequate Toronto Stock Exchange supervision of market-makers. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-11 Maturity Price : 14.56 Evaluated at bid price : 14.56 Bid-YTW : 4.70 %
BAM.PF.E	FixedReset	-5.34 %	Sort of real. The issue traded 10,590 shares today in a range of 17.36-33 before closing at 17.36-60, 4×1. The VWAP was 17.68. We’ll give the Exchange and the market maker a pass on this one, largely because I’m such a nice guy. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-11 Maturity Price : 17.36 Evaluated at bid price : 17.36 Bid-YTW : 5.05 %
TRP.PR.H	FloatingReset	-5.23 %	Reasonably real. The issue traded 8,659 shares in a range of 9.26-80 before closing at 9.25-75, 4×1. VWAP was 9.68. But really, guys a 5%+ quote spread? I have not checked whether this lamentable state of affairs is due to inadequate Toronto Stock Exchange reporting or inadequate Toronto Stock Exchange supervision of market-makers. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-11 Maturity Price : 9.25 Evaluated at bid price : 9.25 Bid-YTW : 4.65 %
HSE.PR.C	FixedReset	-5.14 %	Exaggerated. The issue traded 9,300 shares in a range of 16.62-17.95 before closing at 16.79-50, 2×30. VWAP was 17.28; the last trade was at 17.02 for 100 shares, timestamped 2:50pm. I have not checked whether this lamentable state of affairs is due to inadequate Toronto Stock Exchange reporting or inadequate Toronto Stock Exchange supervision of market-makers. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-11 Maturity Price : 16.79 Evaluated at bid price : 16.79 Bid-YTW : 5.94 %
BAM.PR.T	FixedReset	-5.09 %	Well, OK. The issue traded 13,600 shares today in a range of 15.01-91 before closing at 15.11-30, 5×2. VWAP was 15.49; the last trade was for 500 shares at 15.12 timestamped 3:48. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-11 Maturity Price : 15.11 Evaluated at bid price : 15.11 Bid-YTW : 5.10 %
BAM.PF.A	FixedReset	-4.62 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-11 Maturity Price : 18.60 Evaluated at bid price : 18.60 Bid-YTW : 5.00 %
BAM.PR.K	Floater	-4.44 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-11 Maturity Price : 10.12 Evaluated at bid price : 10.12 Bid-YTW : 4.70 %
BAM.PF.F	FixedReset	-4.33 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-11 Maturity Price : 19.02 Evaluated at bid price : 19.02 Bid-YTW : 4.92 %
TRP.PR.E	FixedReset	-4.32 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-11 Maturity Price : 17.51 Evaluated at bid price : 17.51 Bid-YTW : 4.65 %
HSE.PR.G	FixedReset	-4.00 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-11 Maturity Price : 18.00 Evaluated at bid price : 18.00 Bid-YTW : 6.01 %
BAM.PR.R	FixedReset	-3.82 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-11 Maturity Price : 14.60 Evaluated at bid price : 14.60 Bid-YTW : 5.16 %
TRP.PR.D	FixedReset	-3.81 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-11 Maturity Price : 16.65 Evaluated at bid price : 16.65 Bid-YTW : 4.82 %
BAM.PR.X	FixedReset	-3.73 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-11 Maturity Price : 13.67 Evaluated at bid price : 13.67 Bid-YTW : 4.82 %
MFC.PR.H	FixedReset	-3.53 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.50 Bid-YTW : 6.65 %
PWF.PR.P	FixedReset	-3.47 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-11 Maturity Price : 12.81 Evaluated at bid price : 12.81 Bid-YTW : 4.41 %
BAM.PF.G	FixedReset	-3.38 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-11 Maturity Price : 18.86 Evaluated at bid price : 18.86 Bid-YTW : 4.99 %
BAM.PF.B	FixedReset	-3.31 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-11 Maturity Price : 17.50 Evaluated at bid price : 17.50 Bid-YTW : 4.96 %
IFC.PR.A	FixedReset	-3.27 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.80 Bid-YTW : 9.82 %
BMO.PR.M	FixedReset	-3.25 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.25 Bid-YTW : 4.21 %
FTS.PR.G	FixedReset	-3.17 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-11 Maturity Price : 16.51 Evaluated at bid price : 16.51 Bid-YTW : 4.51 %
SLF.PR.H	FixedReset	-3.16 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.65 Bid-YTW : 9.11 %
TRP.PR.C	FixedReset	-3.13 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-11 Maturity Price : 10.85 Evaluated at bid price : 10.85 Bid-YTW : 5.07 %
CM.PR.Q	FixedReset	-2.95 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-11 Maturity Price : 18.75 Evaluated at bid price : 18.75 Bid-YTW : 4.65 %
GWO.PR.N	FixedReset	-2.93 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 12.91 Bid-YTW : 10.56 %
HSE.PR.A	FixedReset	-2.79 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-11 Maturity Price : 10.81 Evaluated at bid price : 10.81 Bid-YTW : 5.56 %
MFC.PR.N	FixedReset	-2.74 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.10 Bid-YTW : 7.77 %
SLF.PR.B	Deemed-Retractible	-2.74 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.59 Bid-YTW : 7.60 %
TRP.PR.B	FixedReset	-2.74 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-11 Maturity Price : 10.66 Evaluated at bid price : 10.66 Bid-YTW : 4.69 %
FTS.PR.J	Perpetual-Discount	-2.71 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-11 Maturity Price : 21.21 Evaluated at bid price : 21.21 Bid-YTW : 5.68 %
SLF.PR.C	Deemed-Retractible	-2.69 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.50 Bid-YTW : 7.97 %
TRP.PR.G	FixedReset	-2.66 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-11 Maturity Price : 19.03 Evaluated at bid price : 19.03 Bid-YTW : 4.87 %
SLF.PR.A	Deemed-Retractible	-2.64 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.62 Bid-YTW : 7.52 %
PWF.PR.S	Perpetual-Discount	-2.63 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-11 Maturity Price : 20.40 Evaluated at bid price : 20.40 Bid-YTW : 5.90 %
BMO.PR.Q	FixedReset	-2.60 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.10 Bid-YTW : 6.97 %
BNS.PR.P	FixedReset	-2.56 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.58 Bid-YTW : 4.01 %
MFC.PR.M	FixedReset	-2.53 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.50 Bid-YTW : 7.54 %
BMO.PR.S	FixedReset	-2.43 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-11 Maturity Price : 18.05 Evaluated at bid price : 18.05 Bid-YTW : 4.44 %
MFC.PR.C	Deemed-Retractible	-2.42 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.76 Bid-YTW : 7.87 %
BAM.PR.Z	FixedReset	-2.40 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-11 Maturity Price : 18.70 Evaluated at bid price : 18.70 Bid-YTW : 5.04 %
SLF.PR.E	Deemed-Retractible	-2.33 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.68 Bid-YTW : 7.90 %
MFC.PR.J	FixedReset	-2.31 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.00 Bid-YTW : 7.19 %
BNS.PR.Q	FixedReset	-2.29 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.04 Bid-YTW : 4.44 %
BNS.PR.R	FixedReset	-2.29 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.52 Bid-YTW : 4.32 %
TD.PF.D	FixedReset	-2.28 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-11 Maturity Price : 18.85 Evaluated at bid price : 18.85 Bid-YTW : 4.62 %
GWO.PR.S	Deemed-Retractible	-2.24 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.58 Bid-YTW : 6.14 %
SLF.PR.I	FixedReset	-2.21 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.11 Bid-YTW : 7.84 %
CM.PR.P	FixedReset	-2.21 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-11 Maturity Price : 17.28 Evaluated at bid price : 17.28 Bid-YTW : 4.47 %
IFC.PR.C	FixedReset	-2.19 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.90 Bid-YTW : 7.88 %
CIU.PR.C	FixedReset	-2.18 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-11 Maturity Price : 11.65 Evaluated at bid price : 11.65 Bid-YTW : 4.43 %
TD.PR.S	FixedReset	-2.16 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.50 Bid-YTW : 3.85 %
MFC.PR.I	FixedReset	-2.09 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.65 Bid-YTW : 7.00 %
CU.PR.F	Perpetual-Discount	-2.09 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-11 Maturity Price : 19.66 Evaluated at bid price : 19.66 Bid-YTW : 5.81 %
MFC.PR.B	Deemed-Retractible	-2.09 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.13 Bid-YTW : 7.78 %
FTS.PR.M	FixedReset	-2.04 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-11 Maturity Price : 18.76 Evaluated at bid price : 18.76 Bid-YTW : 4.50 %
TD.PF.C	FixedReset	-1.99 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-11 Maturity Price : 17.27 Evaluated at bid price : 17.27 Bid-YTW : 4.47 %
SLF.PR.G	FixedReset	-1.96 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.02 Bid-YTW : 9.58 %
BMO.PR.W	FixedReset	-1.96 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-11 Maturity Price : 17.53 Evaluated at bid price : 17.53 Bid-YTW : 4.43 %
IAG.PR.A	Deemed-Retractible	-1.92 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.40 Bid-YTW : 7.50 %
PWF.PR.H	Perpetual-Premium	-1.87 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-11 Maturity Price : 23.89 Evaluated at bid price : 24.14 Bid-YTW : 5.96 %
BAM.PR.C	Floater	-1.81 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-11 Maturity Price : 10.30 Evaluated at bid price : 10.30 Bid-YTW : 4.62 %
GWO.PR.P	Deemed-Retractible	-1.73 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.29 Bid-YTW : 6.48 %
TD.PF.B	FixedReset	-1.67 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-11 Maturity Price : 17.65 Evaluated at bid price : 17.65 Bid-YTW : 4.37 %
CM.PR.O	FixedReset	-1.64 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-11 Maturity Price : 18.00 Evaluated at bid price : 18.00 Bid-YTW : 4.39 %
SLF.PR.D	Deemed-Retractible	-1.62 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.48 Bid-YTW : 7.98 %
RY.PR.I	FixedReset	-1.61 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.27 Bid-YTW : 4.51 %
CU.PR.G	Perpetual-Discount	-1.59 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-11 Maturity Price : 19.76 Evaluated at bid price : 19.76 Bid-YTW : 5.78 %
BMO.PR.Y	FixedReset	-1.53 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-11 Maturity Price : 19.30 Evaluated at bid price : 19.30 Bid-YTW : 4.55 %
HSE.PR.E	FixedReset	-1.52 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-11 Maturity Price : 18.10 Evaluated at bid price : 18.10 Bid-YTW : 5.98 %
GWO.PR.R	Deemed-Retractible	-1.47 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.80 Bid-YTW : 7.45 %
RY.PR.J	FixedReset	-1.46 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-11 Maturity Price : 18.94 Evaluated at bid price : 18.94 Bid-YTW : 4.60 %
BIP.PR.B	FixedReset	-1.42 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-11 Maturity Price : 22.62 Evaluated at bid price : 23.66 Bid-YTW : 5.84 %
CU.PR.E	Perpetual-Discount	-1.39 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-11 Maturity Price : 21.23 Evaluated at bid price : 21.23 Bid-YTW : 5.86 %
TD.PR.T	FloatingReset	-1.38 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.40 Bid-YTW : 4.71 %
FTS.PR.F	Perpetual-Discount	-1.34 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-11 Maturity Price : 21.86 Evaluated at bid price : 22.10 Bid-YTW : 5.61 %
IAG.PR.G	FixedReset	-1.22 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.50 Bid-YTW : 7.02 %
GWO.PR.H	Deemed-Retractible	-1.18 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.00 Bid-YTW : 7.37 %
TD.PF.A	FixedReset	-1.17 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-11 Maturity Price : 17.78 Evaluated at bid price : 17.78 Bid-YTW : 4.35 %
SLF.PR.J	FloatingReset	-1.16 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 12.75 Bid-YTW : 10.32 %
BMO.PR.T	FixedReset	-1.13 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-11 Maturity Price : 17.51 Evaluated at bid price : 17.51 Bid-YTW : 4.47 %
BNS.PR.Z	FixedReset	-1.10 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.85 Bid-YTW : 7.11 %
BMO.PR.R	FloatingReset	-1.09 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.76 Bid-YTW : 4.56 %
BAM.PF.C	Perpetual-Discount	-1.09 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-11 Maturity Price : 19.98 Evaluated at bid price : 19.98 Bid-YTW : 6.13 %
GWO.PR.I	Deemed-Retractible	-1.04 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.00 Bid-YTW : 7.67 %
CU.PR.D	Perpetual-Discount	-1.02 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-11 Maturity Price : 21.33 Evaluated at bid price : 21.33 Bid-YTW : 5.83 %
GWO.PR.G	Deemed-Retractible	-1.01 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.45 Bid-YTW : 6.79 %
POW.PR.D	Perpetual-Discount	-1.01 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-11 Maturity Price : 21.32 Evaluated at bid price : 21.59 Bid-YTW : 5.81 %
RY.PR.M	FixedReset	-1.00 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-11 Maturity Price : 18.81 Evaluated at bid price : 18.81 Bid-YTW : 4.52 %
GWO.PR.F	Deemed-Retractible	1.11 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2016-02-10 Maturity Price : 25.00 Evaluated at bid price : 25.40 Bid-YTW : -10.98 %
BAM.PR.E	Ratchet	1.40 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-11 Maturity Price : 25.00 Evaluated at bid price : 14.45 Bid-YTW : 5.69 %
RY.PR.K	FloatingReset	1.87 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.75 Bid-YTW : 4.87 %
BAM.PR.G	FixedFloater	2.47 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-11 Maturity Price : 25.00 Evaluated at bid price : 13.30 Bid-YTW : 6.34 %

Volume Highlights
Issue	Index	Shares Traded	Notes
BNS.PR.Z	FixedReset	218,179	Scotia crossed 100,000 at 19.06. RBC crossed 50,000 at the same price. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.85 Bid-YTW : 7.11 %
BNS.PR.L	Deemed-Retractible	209,671	RBC crossed 192,000 at 24.54. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.46 Bid-YTW : 4.90 %
MFC.PR.I	FixedReset	103,000	Nesbitt crossed 100,000 at 19.93. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.65 Bid-YTW : 7.00 %
RY.PR.C	Deemed-Retractible	73,612	RBC crossed 50,000 at 24.89, then bought 13,900 at the same price from TD. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.83 Bid-YTW : 4.87 %
TD.PF.C	FixedReset	55,135	Scotia crossed 40,000 at 17.50. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-11 Maturity Price : 17.27 Evaluated at bid price : 17.27 Bid-YTW : 4.47 %
BMO.PR.T	FixedReset	51,827	TD crossed 25,700 at 17.80. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-11 Maturity Price : 17.51 Evaluated at bid price : 17.51 Bid-YTW : 4.47 %
There were 42 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
BNS.PR.R	FixedReset	Quote: 23.52 – 24.49 Spot Rate : 0.9700 Average : 0.5572 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.52 Bid-YTW : 4.32 %
BMO.PR.M	FixedReset	Quote: 23.25 – 24.00 Spot Rate : 0.7500 Average : 0.4770 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.25 Bid-YTW : 4.21 %
CIU.PR.C	FixedReset	Quote: 11.65 – 12.90 Spot Rate : 1.2500 Average : 0.9946 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-11 Maturity Price : 11.65 Evaluated at bid price : 11.65 Bid-YTW : 4.43 %
TRP.PR.A	FixedReset	Quote: 14.56 – 15.24 Spot Rate : 0.6800 Average : 0.4286 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-11 Maturity Price : 14.56 Evaluated at bid price : 14.56 Bid-YTW : 4.70 %
HSE.PR.C	FixedReset	Quote: 16.79 – 17.50 Spot Rate : 0.7100 Average : 0.4596 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-11 Maturity Price : 16.79 Evaluated at bid price : 16.79 Bid-YTW : 5.94 %
TD.PR.T	FloatingReset	Quote: 21.40 – 22.04 Spot Rate : 0.6400 Average : 0.4292 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.40 Bid-YTW : 4.71 %

Jobs, jobs, jobs!

Employers in December added 292,000 workers, exceeding the highest estimate in a Bloomberg survey, and payrolls for the previous two months were revised higher, a Labor Department report showed on Friday. The jobless rate held at 5 percent as people entering the labor force found work. At the same time, worker pay disappointed, rising less than forecast from a year earlier.
…
Labor Department revisions to prior reports added a total of 50,000 jobs to payrolls in November and October. For all of 2015, employment climbed by 2.65 million after a 3.1 million gain in 2014, for the best back-to-back years since 1998-99.
…
While employers continue to aggressively add to headcounts, worker pay has yet to show a sustainable pickup. Average hourly earnings in December were unchanged from the prior month and increased 2.5 percent from a year earlier. The median forecast called for a 2.7 percent year-over-year gain.
…
Among measures of labor-market slack, the number of Americans who are working part time though would rather have a full time position, or the measure known as part-time for economic reasons, eased to 6.02 million from 6.09 million.

The underemployment rate — which includes part-time workers who’d prefer a full-time position and people who want to work but have given up looking — held at 9.9 percent.
…
Hiring gains last month were broad-based, with construction adding 45,000 jobs, health-care providers taking on 52,600 and temporary help services boosting headcounts by 34,400. Factories even added the most jobs — 8,000 — in five months.

There will even be job openings for Secret Policemen and government propagandists!

The Obama administration on Friday asked some of the nation’s biggest technology companies for help in the fight against terrorism as it announced steps to thwart the recruitment and radicalization of extremists.

Top administration officials met in San Jose, California with representatives of Twitter Inc., Apple Inc., Facebook Inc. and other Silicon Valley companies. In a seven-page memo sent in advance, the companies were asked for ideas on how extremist content online can be identified and removed, as well as help creating alternative messages, according to excerpts of the document obtained and described to Bloomberg News.

“We are interested in exploring all options with you for how to deal with the growing threat of terrorists and other malicious actors using technology,” the memo said. “Are there high-level principles we could agree on for working through these problems together? And are there technologies that could make it harder for terrorists to use the Internet to mobilize, facilitate, and operationalize?”

Meanwhile, Canadians got government work:

Canada added 23,000 jobs in December, surpassing expectations due to gains in self-employment, health care and education.

December’s gains helped reverse huge election-related job declines in November and capped a tumultuous year for job creation. The country added a total of 158,000 jobs in 2015, an increase of 0.9 per cent over the previous year, despite mass layoffs in the energy sector.
…
Hiring in the private sector was flat compared with the previous year while the public sector added 41,000 new jobs, an increase of 1.1 per cent, and self-employment grew by 92,000 jobs, or 3.4 per cent.

But soon we’ll be able to beg tourists for American dollars!

Toronto has made it onto the New York Times’s list of 52 top global tourist destinations for 2016, at No. 7.

I want to see the sights of 10-15 years ago again … walk around downtown, see a tour bus on every corner, theatre industry booming … who knows, maybe they’ll even start up a Toronto-Rochester catamaran!

But anyway, despite the encouraging job news, equities fell:

U.S. stocks tumbled in a late-afternoon selloff that sent major equity indexes to their worst weekly declines in more than four years, as investors found little relief in moves by China to restore calm to its sinking markets and data that showed resilience in the U.S labor market.
…
The S&P 500 dropped 1.1 percent to 1,922.03 at 4 p.m. in New York, and fell 6 percent for the week. The Dow Jones Industrial Average sank 167.65 points, or 1 percent, to 16,346.45. The index lost more than 1,000 points this week in its worst opening five-days to a year ever. The Nasdaq Composite Index declined 1 percent, stretching its losing streak to seven days, the longest since 2011.
…
The S&P 500 has fallen 7.3 percent since the Federal Reserve raised interest rates last month for the first time in nearly a decade. The central bank balked at boosting borrowing costs in September in part due to turbulence sparked by China’s August currency devaluation. The poor start to 2016 has left the benchmark index 9.8 percent below its all-time high set in May after coming within 1 percent of the record as recently as November. It’s 2.9 percent above the August bottom.

And now there are calls for fiscal stimulus:

[Central Banks] have only themselves to blame for becoming agents of volatility, according to Christopher Walen, senior managing director at Kroll Bond Rating Agency Inc.

He told Bloomberg Television this week that officials’ willingness to keep interest rates near zero and repeatedly buy bonds and other assets meant they became “way too involved in the global economy” and should have left more of the lifting work to governments.

The handover to looser fiscal policy now needs to happen if economic growth and inflation are to get the spur they need, said Martin Malone, global macro policy strategist at London-based brokerage Mint Partners.

“Major economies have exhausted monetary and foreign-exchange policies,” he said. “Government action must take over from central-bank policies, triggering more confident private-sector investment and spending.”

The influence of central bankers was underscored by a report this week from currency strategists at HSBC Holdings Plc, which calculated foreign-exchange markets are more sensitive to interest-rate decision-making than at any time in the last 15 years.

But it will take a long time for the Fed to shrink its balance sheet:

It will take the U.S. central bank at least six years to reduce its bloated balance sheet back to more a normal size, San Francisco Federal Reserve Bank President John Williamssaid, as officials take a gradual approach to withdrawing crisis-level stimulus.

“Our plan is to shrink the balance sheet ‘organically,’ if you will, through the maturation of the assets,” Williams said in the text of remarks Friday in Santa Barbara, California. “It’s likely going to take at least six years to get the balance sheet back to normal, which is in keeping with the overall approach to removing accommodation gradually.”

The Federal Reserve is slowly weaning the economy off of ultra-easy monetary policy that saw it hold interest rates near zero for seven years and balloon the balance sheet to around $4.5 trillion through three rounds of buying mainly Treasuries and mortgage-backed securities. Officials took a major step in December, raising interest rates for the first time since 2006, and said they’ll wait until the process of policy normalization is well under way before beginning to allow excess balance-sheet holdings to roll off.

“The Fed has started the process of raising interest rates, but the path to normal will be gradual,” Williams said Friday.

Dividend Split Corp. II, proud issuer of DF.PR.A has been confirmed at Pfd-3(Low) by DBRS:

DBRS Limited (DBRS) has today confirmed the rating of the Preferred Shares issued by Dividend 15 Split Corp. II (the Company) at Pfd-3 (low). In November and December of 2006, the Company issued 5.6 million Preferred Shares (at $10.00 each) and an equal number of Class A Shares (at $15.00 each). The final redemption date for both classes of shares issued is December 1, 2019 (extended from December 1, 2014, at a special meeting of shareholders on June 3, 2013).
…
Holders of the Class A Shares receive regular monthly cash dividends targeted to be $0.10 per Class A Share to yield 8% per annum on the issue price of $15.00. No monthly distributions to the Class A Shares are made if the dividends of the Preferred Shares are in arrears or the NAV of the Company falls below 1.5 times the principal amount of the outstanding Preferred Shares. Furthermore, no special distributions are made if the NAV of the Company is below $25.00. The NAV as of December 15, 2015, was $14.52, resulting in no distributions paid to the Class A Shares for December 31, 2015. On maturity, the holders of the Preferred Shares will be entitled to the value of the Company, up to the face value of the Preferred Shares, in priority to the holders of the Class A Shares. Holders of the Class A Shares will receive all remaining value of the Company.

The confirmation of the Pfd-3 (low) rating of the Preferred Shares is based primarily on the downside protection available and the additional protection provided by the asset coverage test, which does not permit any distributions to holders of the Class A Shares if the NAV of the Company falls below $15.00.

The year-end NAVPU for DF.PR.A was 14.51; the sort-of comparable, XDV is down about 4% since then.

But for now, Canadian preferred share investors can look forward to two days with no losses!

It was another horrid day for Canadian preferred share investors, with PerpetualDiscounts down 32bp, FixedResets losing 84bp and DeemedRetractibles off 27bp. The Performance Highlights table is lengthy. Volume was very low.

For as long as the FixedReset market is so violently unsettled, I’ll keep publishing updates of the more interesting and meaningful series of FixedResets’ Implied Volatilities. This doesn’t include Enbridge because although Enbridge has a large number of issues outstanding, all of which are quite liquid, the range of Issue Reset Spreads is too small for decent conclusions. The low is 212bp (ENB.PR.H; second-lowest is ENB.PR.D at 237bp) and the high is a mere 268 for ENB.PF.G.

Remember that all rich /cheap assessments are:
» based on Implied Volatility Theory only
» are relative only to other FixedResets from the same issuer
» assume constant GOC-5 yield
» assume constant Implied Volatility
» assume constant spread

Here’s TRP:

TRP.PR.E, which resets 2019-10-30 at +235, is bid at 18.30 to be $1.15 rich, while TRP.PR.C, resetting 2016-1-30 at +154, is $1.44 cheap at its bid price of 11.20.

Most expensive is MFC.PR.M, resetting at +236bp on 2019-12-19, bid at 18.98 to be 0.56 rich, while MFC.PR.G, resetting at +290bp on 2016-12-19, is bid at 19.34 to be 1.03 cheap.

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 15.18 to be $1.10 cheap. BAM.PF.E, resetting at +255bp on 2020-3-31 is bid at 18.34 and appears to be $0.69 rich.

FTS.PR.K, with a spread of +205bp, and bid at 17.78, looks $0.69 expensive and resets 2019-3-1. FTS.PR.G, with a spread of +213bp and resetting 2018-9-1, is bid at 17.05 and is $0.48 cheap.

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -1.27%, with three outliers below -2.00%. There is one junk outlier below -2.00% and three above 0.00%.

Shall we just say that this exhibits a high level of confidence in the continued rapacity of Canadian banks?

But now … on to PrefLetter.

HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly
Index	Mean Current Yield (at bid)	Median YTW	Median Average Trading Value	Median Mod Dur (YTW)	Issues	Day’s Perf.	Index Value
Ratchet	4.76 %	5.77 %	26,798	16.93	1	1.7857 %	1,633.9
FixedFloater	7.32 %	6.50 %	32,713	15.58	1	-6.7529 %	2,666.4
Floater	4.29 %	4.49 %	80,694	16.47	4	0.0454 %	1,781.5
OpRet	0.00 %	0.00 %	0	0.00	0	0.0069 %	2,735.7
SplitShare	4.83 %	5.77 %	71,882	1.81	6	0.0069 %	3,201.3
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.0069 %	2,497.8
Perpetual-Premium	5.87 %	5.66 %	86,132	2.73	6	-0.0067 %	2,515.4
Perpetual-Discount	5.72 %	5.79 %	94,230	14.23	34	-0.3168 %	2,520.5
FixedReset	5.33 %	4.63 %	239,519	14.87	81	-0.8361 %	1,935.3
Deemed-Retractible	5.27 %	5.15 %	121,027	5.28	34	-0.2747 %	2,552.5
FloatingReset	2.87 %	4.64 %	63,131	5.62	13	-1.3458 %	2,057.0

Performance Highlights
Issue	Index	Change	Notes
BAM.PR.G	FixedFloater	-6.75 %	Just more nonsense from Nonsense Central. The issue traded 2,000 shares in a range of 13.75-35 before closing at 12.98-14.35, 3×4; this is particularly ridiculous in light of the fact that according to TMX figures, BAM.PR.E, this issue’s Strong Pair, had a very good day. I have not checked whether this lamentable state of affairs is due to inadequate Toronto Stock Exchange reporting or inadequate Toronto Stock Exchange supervision of market-makers. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-08 Maturity Price : 25.00 Evaluated at bid price : 12.98 Bid-YTW : 6.50 %
BAM.PF.G	FixedReset	-4.08 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-08 Maturity Price : 19.52 Evaluated at bid price : 19.52 Bid-YTW : 4.82 %
RY.PR.K	FloatingReset	-4.04 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.35 Bid-YTW : 5.21 %
MFC.PR.G	FixedReset	-3.78 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.34 Bid-YTW : 7.15 %
TRP.PR.F	FloatingReset	-3.77 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-08 Maturity Price : 12.75 Evaluated at bid price : 12.75 Bid-YTW : 4.64 %
CIU.PR.C	FixedReset	-3.33 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-08 Maturity Price : 11.91 Evaluated at bid price : 11.91 Bid-YTW : 4.33 %
CU.PR.C	FixedReset	-3.04 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-08 Maturity Price : 17.25 Evaluated at bid price : 17.25 Bid-YTW : 4.58 %
BAM.PF.B	FixedReset	-3.00 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-08 Maturity Price : 18.10 Evaluated at bid price : 18.10 Bid-YTW : 4.79 %
BMO.PR.T	FixedReset	-2.59 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-08 Maturity Price : 17.71 Evaluated at bid price : 17.71 Bid-YTW : 4.41 %
SLF.PR.I	FixedReset	-2.58 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.52 Bid-YTW : 7.52 %
BAM.PF.A	FixedReset	-2.50 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-08 Maturity Price : 19.50 Evaluated at bid price : 19.50 Bid-YTW : 4.76 %
MFC.PR.N	FixedReset	-2.36 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.61 Bid-YTW : 7.38 %
MFC.PR.M	FixedReset	-2.32 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.98 Bid-YTW : 7.17 %
BAM.PR.Z	FixedReset	-2.29 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-08 Maturity Price : 19.16 Evaluated at bid price : 19.16 Bid-YTW : 4.91 %
FTS.PR.H	FixedReset	-2.17 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-08 Maturity Price : 13.51 Evaluated at bid price : 13.51 Bid-YTW : 4.10 %
MFC.PR.I	FixedReset	-2.10 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.07 Bid-YTW : 6.70 %
PWF.PR.L	Perpetual-Discount	-1.94 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-08 Maturity Price : 21.48 Evaluated at bid price : 21.74 Bid-YTW : 5.87 %
BAM.PF.E	FixedReset	-1.93 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-08 Maturity Price : 18.34 Evaluated at bid price : 18.34 Bid-YTW : 4.77 %
BIP.PR.A	FixedReset	-1.92 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-08 Maturity Price : 18.88 Evaluated at bid price : 18.88 Bid-YTW : 5.72 %
SLF.PR.J	FloatingReset	-1.90 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 12.90 Bid-YTW : 10.15 %
CIU.PR.A	Perpetual-Discount	-1.84 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-08 Maturity Price : 20.29 Evaluated at bid price : 20.29 Bid-YTW : 5.75 %
BAM.PF.F	FixedReset	-1.83 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-08 Maturity Price : 19.88 Evaluated at bid price : 19.88 Bid-YTW : 4.70 %
PWF.PR.A	Floater	-1.82 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-08 Maturity Price : 12.38 Evaluated at bid price : 12.38 Bid-YTW : 3.86 %
BAM.PR.T	FixedReset	-1.79 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-08 Maturity Price : 15.92 Evaluated at bid price : 15.92 Bid-YTW : 4.83 %
TD.PF.C	FixedReset	-1.73 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-08 Maturity Price : 17.62 Evaluated at bid price : 17.62 Bid-YTW : 4.37 %
HSE.PR.A	FixedReset	-1.68 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-08 Maturity Price : 11.12 Evaluated at bid price : 11.12 Bid-YTW : 5.40 %
TD.PF.E	FixedReset	-1.61 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-08 Maturity Price : 20.12 Evaluated at bid price : 20.12 Bid-YTW : 4.44 %
IAG.PR.G	FixedReset	-1.55 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.74 Bid-YTW : 6.84 %
BNS.PR.Q	FixedReset	-1.50 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.58 Bid-YTW : 4.00 %
TRP.PR.C	FixedReset	-1.50 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-08 Maturity Price : 11.20 Evaluated at bid price : 11.20 Bid-YTW : 4.91 %
SLF.PR.H	FixedReset	-1.46 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.16 Bid-YTW : 8.66 %
TRP.PR.B	FixedReset	-1.44 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-08 Maturity Price : 10.96 Evaluated at bid price : 10.96 Bid-YTW : 4.55 %
TRP.PR.D	FixedReset	-1.37 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-08 Maturity Price : 17.31 Evaluated at bid price : 17.31 Bid-YTW : 4.63 %
GWO.PR.Q	Deemed-Retractible	-1.36 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.50 Bid-YTW : 6.70 %
GWO.PR.R	Deemed-Retractible	-1.36 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.11 Bid-YTW : 7.23 %
BNS.PR.R	FixedReset	-1.35 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.07 Bid-YTW : 3.88 %
SLF.PR.D	Deemed-Retractible	-1.35 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.80 Bid-YTW : 7.74 %
IAG.PR.A	Deemed-Retractible	-1.33 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.80 Bid-YTW : 7.21 %
TD.PF.A	FixedReset	-1.32 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-08 Maturity Price : 17.99 Evaluated at bid price : 17.99 Bid-YTW : 4.30 %
BNS.PR.A	FloatingReset	-1.30 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.10 Bid-YTW : 4.59 %
POW.PR.B	Perpetual-Discount	-1.29 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-08 Maturity Price : 22.66 Evaluated at bid price : 22.90 Bid-YTW : 5.86 %
TRP.PR.A	FixedReset	-1.26 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-08 Maturity Price : 15.70 Evaluated at bid price : 15.70 Bid-YTW : 4.35 %
CU.PR.E	Perpetual-Discount	-1.24 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-08 Maturity Price : 21.53 Evaluated at bid price : 21.53 Bid-YTW : 5.77 %
GWO.PR.I	Deemed-Retractible	-1.22 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.21 Bid-YTW : 7.51 %
RY.PR.M	FixedReset	-1.20 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-08 Maturity Price : 19.00 Evaluated at bid price : 19.00 Bid-YTW : 4.47 %
BNS.PR.C	FloatingReset	-1.18 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.75 Bid-YTW : 4.70 %
CM.PR.P	FixedReset	-1.17 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-08 Maturity Price : 17.67 Evaluated at bid price : 17.67 Bid-YTW : 4.37 %
TD.PR.T	FloatingReset	-1.14 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.70 Bid-YTW : 4.45 %
TRP.PR.E	FixedReset	-1.13 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-08 Maturity Price : 18.30 Evaluated at bid price : 18.30 Bid-YTW : 4.44 %
TD.PF.D	FixedReset	-1.13 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-08 Maturity Price : 19.29 Evaluated at bid price : 19.29 Bid-YTW : 4.52 %
BAM.PR.R	FixedReset	-1.11 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-08 Maturity Price : 15.18 Evaluated at bid price : 15.18 Bid-YTW : 4.96 %
TD.PR.Z	FloatingReset	-1.10 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.60 Bid-YTW : 4.62 %
SLF.PR.C	Deemed-Retractible	-1.09 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.04 Bid-YTW : 7.57 %
GWO.PR.P	Deemed-Retractible	-1.09 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.70 Bid-YTW : 6.22 %
SLF.PR.B	Deemed-Retractible	-1.07 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.17 Bid-YTW : 7.19 %
SLF.PR.A	Deemed-Retractible	-1.07 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.18 Bid-YTW : 7.12 %
PWF.PR.E	Perpetual-Discount	-1.05 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-08 Maturity Price : 23.17 Evaluated at bid price : 23.47 Bid-YTW : 5.86 %
TRP.PR.G	FixedReset	-1.01 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-08 Maturity Price : 19.55 Evaluated at bid price : 19.55 Bid-YTW : 4.74 %
CU.PR.D	Perpetual-Discount	-1.01 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-08 Maturity Price : 21.55 Evaluated at bid price : 21.55 Bid-YTW : 5.77 %
HSE.PR.C	FixedReset	-1.01 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-08 Maturity Price : 17.70 Evaluated at bid price : 17.70 Bid-YTW : 5.62 %
PWF.PR.T	FixedReset	1.09 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-08 Maturity Price : 21.25 Evaluated at bid price : 21.25 Bid-YTW : 3.76 %
IFC.PR.C	FixedReset	1.44 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.30 Bid-YTW : 7.56 %
BNS.PR.N	Deemed-Retractible	1.52 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2016-02-26 Maturity Price : 25.25 Evaluated at bid price : 25.45 Bid-YTW : -3.21 %
BAM.PR.E	Ratchet	1.79 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-08 Maturity Price : 25.00 Evaluated at bid price : 14.25 Bid-YTW : 5.77 %
VNR.PR.A	FixedReset	3.01 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-08 Maturity Price : 18.15 Evaluated at bid price : 18.15 Bid-YTW : 4.91 %

Volume Highlights
Issue	Index	Shares Traded	Notes
BNS.PR.M	Deemed-Retractible	115,800	RBC crossed 98,000 at 24.60. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.50 Bid-YTW : 4.86 %
RY.PR.Q	FixedReset	84,345	Recent new issue. YTW SCENARIO Maturity Type : Call Maturity Date : 2021-05-24 Maturity Price : 25.00 Evaluated at bid price : 25.65 Bid-YTW : 5.04 %
BNS.PR.L	Deemed-Retractible	74,544	RBC bought 20,000 from Nesbitt at 24.50, then another 27,500 at 24.52. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.50 Bid-YTW : 4.86 %
NA.PR.Q	FixedReset	65,285	RBC crossed 40,000 at 24.23. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.03 Bid-YTW : 3.98 %
FTS.PR.J	Perpetual-Discount	44,500	Desjardins crossed 40,000 at 21.80. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-08 Maturity Price : 21.47 Evaluated at bid price : 21.80 Bid-YTW : 5.50 %
TD.PF.B	FixedReset	38,613	Scotia crossed 25,000 at 18.25. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-08 Maturity Price : 17.95 Evaluated at bid price : 17.95 Bid-YTW : 4.30 %
There were 14 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
BAM.PR.G	FixedFloater	Quote: 12.98 – 14.35 Spot Rate : 1.3700 Average : 0.8740 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-08 Maturity Price : 25.00 Evaluated at bid price : 12.98 Bid-YTW : 6.50 %
TRP.PR.F	FloatingReset	Quote: 12.75 – 13.59 Spot Rate : 0.8400 Average : 0.5329 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-08 Maturity Price : 12.75 Evaluated at bid price : 12.75 Bid-YTW : 4.64 %
FTS.PR.M	FixedReset	Quote: 19.15 – 19.97 Spot Rate : 0.8200 Average : 0.5229 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-08 Maturity Price : 19.15 Evaluated at bid price : 19.15 Bid-YTW : 4.40 %
RY.PR.K	FloatingReset	Quote: 21.35 – 22.13 Spot Rate : 0.7800 Average : 0.5004 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.35 Bid-YTW : 5.21 %
MFC.PR.G	FixedReset	Quote: 19.34 – 19.90 Spot Rate : 0.5600 Average : 0.3467 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.34 Bid-YTW : 7.15 %
CIU.PR.C	FixedReset	Quote: 11.91 – 12.82 Spot Rate : 0.9100 Average : 0.7146 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-08 Maturity Price : 11.91 Evaluated at bid price : 11.91 Bid-YTW : 4.33 %

Here’s to the new feds, just like the old feds:

If you closed your eyes, you could almost imagine Stephen Harper is still prime minister.

Progressive voters who hoped Justin Trudeau would abruptly shift the federal government to the left once he became Prime Minister must be in despair as the new regime announces one conservative-friendly policy after another – further proof that when it comes to the really big decisions, the imperative of protecting jobs and the economy trumps human rights, the environment and other concerns in these difficult days.

For the umpteenth time, the Liberals campaigned from the left and now are governing from the centre-right. Only those born yesterday will be surprised by this.
…
The Liberals have taken a few token progressive steps: appointing women to half the posts in cabinet, restoring the long-form census, cancelling an ugly and intrusive monument to the victims of communism – that sort of on-the-margins thing. But on the big stuff, everyone is a Conservative, especially the Liberals.

It is my theory that on big, highly visible policy issues, you are actually more likely to get the right thing done if you have a government that – in theory – opposes the policy. For instance, consider the nineties when Chretien and Martin hacked away the deficit and got federal finances on an even keel. They did the right thing; many of their supporters criticized them harshly for this, but I suggest that a Conservative government at that time would not have been anywhere near so decisive.

If the Conservatives had done it, it would have reinforced every stereotype in the book; they would have cemented a reputation as the heartless party of Big Business only and would still be feeling that pain … in much the same way as the Ontario Progressive Conservatives are still losing votes because of Mike Harris’ ‘Common Sense Revolution’.

But when the Liberals do it … people first think that what the government is doing is awful … then they remember that it goes against party stereotypes to some degree … and then they decide that the situation must be really serious and the actions really necessary if the party is going against the grain. The Liberals have more political room to impose austerity; the Conservatives have more political room to run deficits totalling $127-billion.

And in the last campaign, the NDP couldn’t promise deficit-financed infrastructure spending; that would have reinforced their stereotype. The Liberals could.

So anyway, it was a cruddy day for equities:

The Standard & Poor’s 500 Index capped its worst-ever four-day start to a year, while gold rallied with the yen as turmoil in China spread around the world and billionaire George Soros warned that a larger crisis may be brewing.

The U.S. equities benchmark ended the first four days of 2016 lower by 4.9 percent, while the Dow Jones Industrial Average has erased more than 900 points so far this year. A measure of global shares wrapped up a four-day slide of 5.2 percent, its worst start in records back to 1998. Selling in global equities began in China after the central bank weakened the yuan an eighth day. Crude settled at a 12-year low, and copper dipped below $2 for the first time since 2009. The yen reached a four-month high.
…
The Standard & Poor’s 500 Index slid 2.4 percent at 4:15 p.m in New York. The index is down 4.9 percent this year, its worst start in data going back to 1928. The MSCI All-Country World Index fell for a fourth day, bringing its slide this year to 5.2 percent.

And pundits are dividing blame between Chinese retail investors …:

The globe-spanning stampede is vast and complicated, as hedge-fund managers, currency specialists and oil traders from Bangkok to Frankfurt weigh everything from rising U.S. interest rates to overflowing crude-oil storage tanks and a rising belief that China’s economic slowdown is more severe than once thought, and getting worse.

But at the head of the stampede is a cavalcade of largely unsophisticated Chinese investors who live in a country that has made gambling illegal but turned its stock markets into the world’s largest casino. This is not a small group, numbering nearly three times the population of Canada, but they are among the most active retail traders on Earth – and they’re playing roulette at a table where everyone is whispering that it’s time to bet on red.

… and ham-fisted Chinese regulators:

After watching a stock-market collapse wipe out $5 trillion of wealth in less than three months last year, Chinese authorities hatched a plan to stem the pain: circuit breakers that would be triggered by daily declines of 5 percent.

The new system went into effect Jan. 4. It lasted all of four days. After two harrowing sessions — on Monday and Thursday — that tripped the breaker repeatedly and convulsed global markets, officials suspended the rule, saying it was only exacerbating declines. While that acknowledgment addresses critics’ concerns, the flip-flop at the same time only adds to the sentiment among global investors that authorities are improvising — and improvising poorly — as they try to stabilize markets and shore up the economy.
…
On the currency front, policy makers have pledged to keep the yuan stable, drawing down a record $108 billion from foreign reserves last month to prop it up. At the same time, the People’s Bank of China set its reference rate at unexpectedly weak levels this week, raising speculation that it’s more tolerant of depreciation to spur exports.

“The more alarming thing is that they weakened the currency after saying they wouldn’t,” said Patrick Chovanec, New York-based chief strategist at Silvercrest Asset Management Group. “So that raises all these issues of mixed signals, confusion. It is very unclear what the policy is, whether they know what the policy is, whether they know how to implement the policy.”
…
Chinese regulators moved to control the damage earlier Thursday, imposing a new limit on the amount of stock that major corporate shareholders can sell. That followed intervention by government funds to prop up shares on Tuesday, according to people familiar with the matter.

The Chinese circuit-breakers have attracted high-level criticism:

“They’re just on the wrong track,” said Nicholas Brady, 85, the former U.S. Treasury secretary who ran a committee that recommended the curbs on equity trading after the 1987 crash. “They need a set of circuit breakers that appropriately reflects their market.”

Brady spoke Thursday after Chinese regulators suspended their newly introduced program that ends stock trading for the entire day after a 7 percent plunge. The halt was set off twice in its first week of operation, bolstering speculation China set its threshold too low.
…
“I don’t think this is an exact science,” said Sang Lee, an analyst at financial-markets researcher Aite Group. With circuit breakers, “If you set these too low, instead of easing volatility it may increase volatility.”

That echoes the view of Brady, who was chairman of Wall Street powerhouse Dillon Read & Co. when President Ronald Reagan asked him to figure out what happened during the 1987 crash and propose solutions.

Meanwhile, Adam Haigh on Bloomberg reminds us there’s still lots of arbitrary rules to restrict Chinese markets:

A 10 percent daily limit on single stock moves and a rule preventing investors from buying and selling the same shares in a day remain in force. Volume in what was once the world’s most active index futures market is minimal after authorities curtailed trading amid a summer rout, making it more difficult to implement hedging strategies. Officials unveiled curbs Thursday on share sales by major stockholders just a day before an existing ban was due to expire. And the activity of foreign investors is limited by quotas, given either to asset managers or to users of the Hong Kong-Shanghai exchange link.
…
There’s also the prospect that regulators and executives will dust off last year’s playbook as they seek to stem losses. At the height of the summer rout, about half of China’s listed companies were halted, while officials investigated trading strategies, made it harder for investors to borrow money to buy equities and vowed to “purify” the market.

Meanwhile, Poloz has a new script from his new masters:

Bank of Canada governor Stephen Poloz is encouraging the Liberal government to act on promised infrastructure spending, acknowledging there are limits to what monetary policy can do to boost Canada’s sluggish economy.

Officials with Canada’s central bank are currently working with the Finance Department on economic models aimed at measuring the likely impact of promised government spending on infrastructure, as well as tax cuts that took effect this year.
…
Speaking to reporters in Ottawa, Mr. Poloz said the cheaper dollar alone is not enough to counter the shock from the commodities price slump. And he said the economy would benefit from some government fiscal policy.

“Infrastructure is an ingredient to economic growth. It’s sort of the enabler of economic growth,” he said.

Speaking of the Canadian dollar, I ran across the publication A History of the Canadian Dollar by James Powell and published by the Bank of Canada today. It’s ten years old now … it might need a new chapter! I’m too young to remember the hey-day of:

… so I’ll have to find solace in boring the whippersnappers with tales of:

There’s a chance that PrefBlog won’t have John Nagel to kick around any more:

John Nagel, a fixture in the preferred share market for more than three decades, has retired from his post at Desjardins Securities.

But it’s not clear at this stage, whether Nagel who spent the past 13 plus years at Desjardins, has retired from the investment industry.

In a note to clients, Nagel – who first traded preferred shares while at Gardiner Watson in the mid-1980s – noted the firm had achieved a “great deal” since he arrived in June 2002. For instance the firm “established and earned a significant improvement in its syndication positions,” as well as hiring and training assistants and analysts “many of whom have continued on successfully in the financial services field.” In addition, Nagel’s team, that produced market commentary and market, improved the firm’s preferred trading and sales activities.
…
With Nagel’s retirement, the preferred share department will report to Mark Lucey, a managing director and head of equities and capital markets. Previously it reported to fixed income. Julian Pope, David Paul and Alex Somjen will now man the firm’s pref share group.

Meanwhile, in the Canadian preferred share market:

It was an appalling day for the Canadian preferred share market, with PerpetualDiscounts down 101bp, FixedResets losing 136bp and DeemedRetractibles off 63bp. The Performance Highlights table is about as long as one might expect. Volume was well below average.

HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly
Index	Mean Current Yield (at bid)	Median YTW	Median Average Trading Value	Median Mod Dur (YTW)	Issues	Day’s Perf.	Index Value
Ratchet	4.85 %	5.88 %	27,752	16.80	1	-1.7544 %	1,605.2
FixedFloater	6.82 %	6.05 %	32,894	16.14	1	0.0000 %	2,859.5
Floater	4.29 %	4.53 %	81,017	16.40	4	-2.4801 %	1,780.7
OpRet	0.00 %	0.00 %	0	0.00	0	-0.3178 %	2,735.5
SplitShare	4.83 %	5.76 %	74,846	1.82	6	-0.3178 %	3,201.0
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.3178 %	2,497.6
Perpetual-Premium	5.87 %	3.79 %	84,250	0.09	6	-0.5644 %	2,515.6
Perpetual-Discount	5.71 %	5.75 %	94,652	14.31	34	-1.0117 %	2,528.5
FixedReset	5.29 %	4.64 %	243,586	14.80	81	-1.3646 %	1,951.6
Deemed-Retractible	5.26 %	5.23 %	121,283	5.28	34	-0.6262 %	2,559.5
FloatingReset	2.89 %	4.49 %	62,948	5.62	13	-0.5922 %	2,085.1

Performance Highlights
Issue	Index	Change	Notes
VNR.PR.A	FixedReset	-7.01 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-07 Maturity Price : 17.62 Evaluated at bid price : 17.62 Bid-YTW : 5.13 %
PWF.PR.T	FixedReset	-5.53 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-07 Maturity Price : 21.02 Evaluated at bid price : 21.02 Bid-YTW : 3.87 %
HSE.PR.A	FixedReset	-4.56 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-07 Maturity Price : 11.31 Evaluated at bid price : 11.31 Bid-YTW : 5.44 %
SLF.PR.H	FixedReset	-4.09 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.40 Bid-YTW : 8.53 %
CCS.PR.C	Deemed-Retractible	-4.05 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.02 Bid-YTW : 6.84 %
BAM.PR.T	FixedReset	-3.97 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-07 Maturity Price : 16.21 Evaluated at bid price : 16.21 Bid-YTW : 4.83 %
BAM.PF.E	FixedReset	-3.86 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-07 Maturity Price : 18.70 Evaluated at bid price : 18.70 Bid-YTW : 4.74 %
BAM.PR.B	Floater	-3.58 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-07 Maturity Price : 10.50 Evaluated at bid price : 10.50 Bid-YTW : 4.53 %
BMO.PR.Q	FixedReset	-3.47 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.50 Bid-YTW : 6.64 %
MFC.PR.F	FixedReset	-3.43 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.78 Bid-YTW : 9.87 %
SLF.PR.J	FloatingReset	-3.31 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.15 Bid-YTW : 9.96 %
BAM.PR.X	FixedReset	-3.24 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-07 Maturity Price : 14.32 Evaluated at bid price : 14.32 Bid-YTW : 4.69 %
NA.PR.W	FixedReset	-3.23 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-07 Maturity Price : 17.40 Evaluated at bid price : 17.40 Bid-YTW : 4.54 %
FTS.PR.K	FixedReset	-3.21 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-07 Maturity Price : 17.79 Evaluated at bid price : 17.79 Bid-YTW : 4.21 %
BMO.PR.Y	FixedReset	-3.14 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-07 Maturity Price : 19.76 Evaluated at bid price : 19.76 Bid-YTW : 4.50 %
BAM.PR.C	Floater	-2.98 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-07 Maturity Price : 10.43 Evaluated at bid price : 10.43 Bid-YTW : 4.56 %
RY.PR.M	FixedReset	-2.78 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-07 Maturity Price : 19.23 Evaluated at bid price : 19.23 Bid-YTW : 4.48 %
BAM.PR.K	Floater	-2.60 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-07 Maturity Price : 10.50 Evaluated at bid price : 10.50 Bid-YTW : 4.53 %
BAM.PF.B	FixedReset	-2.56 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-07 Maturity Price : 18.66 Evaluated at bid price : 18.66 Bid-YTW : 4.71 %
MFC.PR.L	FixedReset	-2.53 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.12 Bid-YTW : 7.65 %
W.PR.J	Perpetual-Discount	-2.53 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-07 Maturity Price : 22.88 Evaluated at bid price : 23.15 Bid-YTW : 6.07 %
CM.PR.Q	FixedReset	-2.52 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-07 Maturity Price : 19.35 Evaluated at bid price : 19.35 Bid-YTW : 4.56 %
MFC.PR.K	FixedReset	-2.52 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.82 Bid-YTW : 7.77 %
BNS.PR.Z	FixedReset	-2.46 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.02 Bid-YTW : 7.00 %
FTS.PR.H	FixedReset	-2.40 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-07 Maturity Price : 13.81 Evaluated at bid price : 13.81 Bid-YTW : 4.09 %
RY.PR.J	FixedReset	-2.36 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-07 Maturity Price : 19.41 Evaluated at bid price : 19.41 Bid-YTW : 4.55 %
POW.PR.D	Perpetual-Discount	-2.36 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-07 Maturity Price : 21.66 Evaluated at bid price : 21.91 Bid-YTW : 5.72 %
POW.PR.G	Perpetual-Discount	-2.24 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-07 Maturity Price : 23.53 Evaluated at bid price : 24.00 Bid-YTW : 5.84 %
BAM.PF.G	FixedReset	-2.16 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-07 Maturity Price : 20.35 Evaluated at bid price : 20.35 Bid-YTW : 4.67 %
MFC.PR.I	FixedReset	-2.15 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.50 Bid-YTW : 6.46 %
MFC.PR.H	FixedReset	-2.06 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.35 Bid-YTW : 6.14 %
NA.PR.S	FixedReset	-1.97 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-07 Maturity Price : 17.95 Evaluated at bid price : 17.95 Bid-YTW : 4.57 %
BAM.PF.A	FixedReset	-1.96 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-07 Maturity Price : 20.00 Evaluated at bid price : 20.00 Bid-YTW : 4.71 %
TRP.PR.D	FixedReset	-1.96 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-07 Maturity Price : 17.55 Evaluated at bid price : 17.55 Bid-YTW : 4.64 %
BAM.PR.R	FixedReset	-1.92 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-07 Maturity Price : 15.35 Evaluated at bid price : 15.35 Bid-YTW : 5.00 %
PWF.PR.R	Perpetual-Discount	-1.91 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-07 Maturity Price : 23.17 Evaluated at bid price : 23.60 Bid-YTW : 5.82 %
MFC.PR.G	FixedReset	-1.86 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.10 Bid-YTW : 6.68 %
TRP.PR.F	FloatingReset	-1.85 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-07 Maturity Price : 13.25 Evaluated at bid price : 13.25 Bid-YTW : 4.54 %
SLF.PR.G	FixedReset	-1.78 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.36 Bid-YTW : 9.29 %
GWO.PR.N	FixedReset	-1.77 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.31 Bid-YTW : 10.16 %
MFC.PR.J	FixedReset	-1.77 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.45 Bid-YTW : 6.91 %
BAM.PR.E	Ratchet	-1.75 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-07 Maturity Price : 25.00 Evaluated at bid price : 14.00 Bid-YTW : 5.88 %
MFC.PR.C	Deemed-Retractible	-1.70 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.25 Bid-YTW : 7.50 %
PWF.PR.K	Perpetual-Discount	-1.69 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-07 Maturity Price : 21.49 Evaluated at bid price : 21.49 Bid-YTW : 5.77 %
PWF.PR.H	Perpetual-Premium	-1.65 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-07 Maturity Price : 24.22 Evaluated at bid price : 24.51 Bid-YTW : 5.87 %
W.PR.H	Perpetual-Discount	-1.63 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-07 Maturity Price : 22.71 Evaluated at bid price : 23.00 Bid-YTW : 6.00 %
BNS.PR.N	Deemed-Retractible	-1.53 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2017-01-27 Maturity Price : 25.00 Evaluated at bid price : 25.07 Bid-YTW : 4.66 %
MFC.PR.B	Deemed-Retractible	-1.52 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.75 Bid-YTW : 7.33 %
BAM.PF.F	FixedReset	-1.51 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-07 Maturity Price : 20.25 Evaluated at bid price : 20.25 Bid-YTW : 4.67 %
SLF.PR.I	FixedReset	-1.50 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.01 Bid-YTW : 7.22 %
TD.PF.E	FixedReset	-1.49 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-07 Maturity Price : 20.45 Evaluated at bid price : 20.45 Bid-YTW : 4.42 %
BMO.PR.Z	Perpetual-Discount	-1.48 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-07 Maturity Price : 22.84 Evaluated at bid price : 23.23 Bid-YTW : 5.44 %
PWF.PR.P	FixedReset	-1.48 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-07 Maturity Price : 13.30 Evaluated at bid price : 13.30 Bid-YTW : 4.36 %
CM.PR.O	FixedReset	-1.45 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-07 Maturity Price : 18.35 Evaluated at bid price : 18.35 Bid-YTW : 4.37 %
TD.PF.D	FixedReset	-1.41 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-07 Maturity Price : 19.51 Evaluated at bid price : 19.51 Bid-YTW : 4.52 %
CU.PR.G	Perpetual-Discount	-1.41 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-07 Maturity Price : 20.25 Evaluated at bid price : 20.25 Bid-YTW : 5.63 %
FTS.PR.G	FixedReset	-1.39 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-07 Maturity Price : 17.06 Evaluated at bid price : 17.06 Bid-YTW : 4.43 %
ELF.PR.F	Perpetual-Discount	-1.35 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-07 Maturity Price : 22.44 Evaluated at bid price : 22.70 Bid-YTW : 5.85 %
TD.PR.Y	FixedReset	-1.33 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.68 Bid-YTW : 3.92 %
TRP.PR.H	FloatingReset	-1.32 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-07 Maturity Price : 9.71 Evaluated at bid price : 9.71 Bid-YTW : 4.53 %
SLF.PR.E	Deemed-Retractible	-1.32 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.26 Bid-YTW : 7.47 %
MFC.PR.N	FixedReset	-1.29 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.06 Bid-YTW : 7.08 %
FTS.PR.M	FixedReset	-1.29 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-07 Maturity Price : 19.15 Evaluated at bid price : 19.15 Bid-YTW : 4.46 %
IFC.PR.A	FixedReset	-1.29 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.35 Bid-YTW : 9.35 %
MFC.PR.M	FixedReset	-1.27 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.43 Bid-YTW : 6.88 %
ELF.PR.G	Perpetual-Discount	-1.22 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-07 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 5.68 %
CU.PR.F	Perpetual-Discount	-1.22 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-07 Maturity Price : 20.25 Evaluated at bid price : 20.25 Bid-YTW : 5.63 %
CM.PR.P	FixedReset	-1.22 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-07 Maturity Price : 17.88 Evaluated at bid price : 17.88 Bid-YTW : 4.38 %
BNS.PR.C	FloatingReset	-1.21 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.01 Bid-YTW : 4.52 %
RY.PR.H	FixedReset	-1.20 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-07 Maturity Price : 18.16 Evaluated at bid price : 18.16 Bid-YTW : 4.39 %
RY.PR.I	FixedReset	-1.18 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.44 Bid-YTW : 4.39 %
BAM.PR.Z	FixedReset	-1.16 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-07 Maturity Price : 19.61 Evaluated at bid price : 19.61 Bid-YTW : 4.87 %
CU.PR.D	Perpetual-Discount	-1.09 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-07 Maturity Price : 21.45 Evaluated at bid price : 21.77 Bid-YTW : 5.69 %
GWO.PR.S	Deemed-Retractible	-1.07 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.12 Bid-YTW : 5.81 %
CU.PR.H	Perpetual-Discount	-1.05 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-07 Maturity Price : 23.15 Evaluated at bid price : 23.45 Bid-YTW : 5.66 %
POW.PR.A	Perpetual-Discount	-1.02 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-07 Maturity Price : 23.96 Evaluated at bid price : 24.21 Bid-YTW : 5.80 %
PWF.PR.A	Floater	-1.02 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-07 Maturity Price : 12.61 Evaluated at bid price : 12.61 Bid-YTW : 3.78 %
FTS.PR.J	Perpetual-Discount	-1.00 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-07 Maturity Price : 21.45 Evaluated at bid price : 21.78 Bid-YTW : 5.51 %
HSE.PR.C	FixedReset	1.02 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-07 Maturity Price : 17.88 Evaluated at bid price : 17.88 Bid-YTW : 5.63 %
BNS.PR.D	FloatingReset	1.22 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.24 Bid-YTW : 6.95 %
HSE.PR.G	FixedReset	1.91 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-07 Maturity Price : 18.70 Evaluated at bid price : 18.70 Bid-YTW : 5.84 %

Volume Highlights
Issue	Index	Shares Traded	Notes
RY.PR.Q	FixedReset	162,764	Recent new issue. YTW SCENARIO Maturity Type : Call Maturity Date : 2021-05-24 Maturity Price : 25.00 Evaluated at bid price : 25.64 Bid-YTW : 5.05 %
TRP.PR.H	FloatingReset	110,400	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-07 Maturity Price : 9.71 Evaluated at bid price : 9.71 Bid-YTW : 4.53 %
TRP.PR.F	FloatingReset	106,435	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-07 Maturity Price : 13.25 Evaluated at bid price : 13.25 Bid-YTW : 4.54 %
MFC.PR.F	FixedReset	105,420	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.78 Bid-YTW : 9.87 %
BNS.PR.E	FixedReset	102,593	Recent new issue. YTW SCENARIO Maturity Type : Call Maturity Date : 2021-04-25 Maturity Price : 25.00 Evaluated at bid price : 25.72 Bid-YTW : 4.97 %
SLF.PR.I	FixedReset	74,345	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.01 Bid-YTW : 7.22 %
There were 21 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
VNR.PR.A	FixedReset	Quote: 17.62 – 18.91 Spot Rate : 1.2900 Average : 0.8588 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-07 Maturity Price : 17.62 Evaluated at bid price : 17.62 Bid-YTW : 5.13 %
CCS.PR.C	Deemed-Retractible	Quote: 22.02 – 22.75 Spot Rate : 0.7300 Average : 0.4943 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.02 Bid-YTW : 6.84 %
POW.PR.G	Perpetual-Discount	Quote: 24.00 – 24.50 Spot Rate : 0.5000 Average : 0.3265 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-07 Maturity Price : 23.53 Evaluated at bid price : 24.00 Bid-YTW : 5.84 %
PWF.PR.T	FixedReset	Quote: 21.02 – 22.00 Spot Rate : 0.9800 Average : 0.8083 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-07 Maturity Price : 21.02 Evaluated at bid price : 21.02 Bid-YTW : 3.87 %
CU.PR.G	Perpetual-Discount	Quote: 20.25 – 20.70 Spot Rate : 0.4500 Average : 0.2944 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-07 Maturity Price : 20.25 Evaluated at bid price : 20.25 Bid-YTW : 5.63 %
RY.PR.O	Perpetual-Discount	Quote: 22.60 – 22.97 Spot Rate : 0.3700 Average : 0.2234 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-07 Maturity Price : 22.31 Evaluated at bid price : 22.60 Bid-YTW : 5.48 %